Discrete and sampled-data stochastic control problems with complete and incomplete state information (Q1180332)

The author summarizes literature results on stochastic optimization problem. He considers a discrete time linear system with a normally distributed initial condition and subject to additive Gaussian state and measurement noise. A quite general finite horizon, discrete time quadratic cost criterion was taken into consideration. Two cases of complete and incomplete state information were discussed. The author shows that both the stochastic sampled-data optimal regulator and the stochastic sampled-data optimal tracker are special cases of the previous stated problems. A breakdown of the minimum cost for both sampled-data controllers is given.